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Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach
time models.. The methodology uses stochastic optimization tcchniques where an issuer of a bond is ItTing ... minimize the price of a callable bond in a game against the bondholder. Some flexibility to the model ...- Authors: Mark Saksonov
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Weather Derivatives and Short-Period Rainfall Indices
Weather Derivatives and Short-Period Rainfall Indices Presentation discussing modeling of ... Rainfall Indices Presentation discussing modeling of daily and hourly rainfall, both occurrence and amount ...- Authors: Barry John Turner
- Date: Jan 2007
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models